Self‐control may act as a protective factor against the development of internalizing and externalizing problems among adolescents. However, little research has examined how self‐control functions within and across different types of communities. Using two cohorts from the Project on Human Development in Chicago Neighborhoods (N = 1,072; 51.40% female), we examined how self‐control and neighborhood characteristics were independently and jointly associated with these behaviors. Using latent profile analysis, we categorized neighborhoods based on several characteristics known to be associated with youth outcomes, including violence, concentrated disadvantage, and collective efficacy. Then we examined how self‐control was associated with youth internalizing and externalizing problems within and across neighborhoods. Results suggest that self‐control was a protective feature in only some types of disadvantaged and dangerous neighborhoods. We discuss findings in terms of implications for programs and policies to support youth mental health.